Message-ID: <B89F0CE41D45644A97CCC93DF548C1C328577463@GBHENXMB02.corp.amvescap.net>
Date: 2010-12-13T08:49:14Z
From: Pfaff, Bernhard Dr.
Subject: Forcasting VAR/VEC
In-Reply-To: <1292223409804-3084994.post@n4.nabble.com>
?vars::predict
> -----Urspr?ngliche Nachricht-----
> Von: r-sig-finance-bounces at r-project.org
> [mailto:r-sig-finance-bounces at r-project.org] Im Auftrag von Megh
> Gesendet: Montag, 13. Dezember 2010 07:57
> An: r-sig-finance at stat.math.ethz.ch
> Betreff: [R-SIG-Finance] Forcasting VAR/VEC
>
>
> Hi dears, I am looking for some function to predict through
> horizon "h", say, given the corefficients of a VAR/VEC model.
> I have moderately gone through packages "urca" & "vars" but
> did not find any significant:
>
> > ls("package:vars")
> [1] "A" "Acoef" "arch"
> "arch.test" "B"
> "Bcoef" "BQ" "causality"
> [9] "fanchart" "fevd" "irf"
> "normality"
> "normality.test" "Phi" "Psi" "restrict"
> [17] "roots" "serial" "serial.test"
> "stability"
> "SVAR" "SVEC" "VAR" "VARselect"
> [25] "vec2var"
> > ls("package:urca")
> [1] "ablrtest" "alphaols" "alrtest" "bh5lrtest"
> "bh6lrtest" "blrtest" "ca.jo" "ca.po"
> [9] "cajolst" "cajools" "cajorls" "lttest"
> "plot"
> "plotres" "punitroot" "qunitroot"
> [17] "summary" "unitrootTable" "ur.df" "ur.ers"
> "ur.kpss" "ur.pp" "ur.sp" "ur.za"
>
> Can somebofy help in finding any relevant function for prediction?
>
> Thanks,
> --
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